Modelling Correlated Defaults with a Distance to Default
报 告 人:: 傅承德
报告地点:: 数学与统计学院403室
报告时间:: 2017年09月04日星期一15:00-16:00

To study the feature of default clustering in credit risk management, this paper evaluates joint default probabilities and default correation for multiple firms through the classical de-fault barrier structure form model. Under the commonly used factor model, by making use of a developed renewal theory, we provide a closed form approximation for the joint default probability, default correlation and expected default time, both for a specific firm as well as the first to default among a group of firms. Moreover, based on the approximated default corre-lation and expected default time, we propose a multi-name Distance-to-Default, which can be used to explain the feature of corporate default clustering: contagion and co-movement. Simu-lation studies for evaluating a multi-name Distance-to-Default are given to illustrate our model.

发 布 人:科研助理 发布时间: 2017-08-24